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Progress in Probability

Stochastic Analysis with Financial Applications

Hong Kong 2009

Editors: Kohatsu-Higa, Arturo, Privault, Nicolas, Sheu, Shuenn-Jyi (Eds.)

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  • Strong focus on applications of stochastic analysis in finance
  • The survey articles are readable by a wide audience
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  • ISBN 978-3-0348-0097-6
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Hardcover 135,19 €
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  • ISBN 978-3-0348-0096-9
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Softcover 135,19 €
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  • ISBN 978-3-0348-0337-3
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About this book

Stochastic analysis has a variety of applications to biological systems as well as physical and engineering problems, and its applications to finance and insurance have bloomed exponentially in recent times. The goal of this book is to present a broad overview of the range of applications of stochastic analysis and some of its recent theoretical developments. This includes numerical simulation, error analysis, parameter estimation, as well as control and robustness properties for stochastic equations. The book also covers the areas of backward stochastic differential equations via the (non-linear) G-Brownian motion and the case of jump processes. Concerning the applications to finance, many of the articles deal with the valuation and hedging of credit risk in various forms, and include recent results on markets with transaction costs.

Contributors:

T.R. Bielecki
N. Bouleau
S. Chakraborty
T.S. Chiang
S.N. Cohen
J.M. Corcuera
S. Crépey
A.B. Cruzeiro
L. Denis
J. Duan
R.J. Elliott
S. Fang
M. Fukasawa
F.Q. Gao
B. Goldys
S. Han
Y. Ishikawa
M. Jeanblanc
H. Jiang
B. Jourdain
A. Kohatsu-Higa
E.T. Kolkovska
H. Lee
L. Li
J.A. López-Mimbela
J. Luo
B. Øksendahl
J. Ren
M. Rutkowski
E. Shamarova
S.J. Sheu
A. Sulem
A. Takeuchi
N. Vaytis
R. Wang
J. Wei
J. Wu
J. Yang
H. Yang
K. Yasuda
X. Zhang

Table of contents (22 chapters)

Table of contents (22 chapters)
  • Dirichlet Forms for Poisson Measures and Lévy Processes: The Lent Particle Method

    Pages 3-20

    Bouleau, Nicolas (et al.)

  • Stability of a Nonlinear Equation Related to a Spatially-inhomogeneous Branching Process

    Pages 21-32

    Chakraborty, S. (et al.)

  • Backward Stochastic Difference Equations with Finite States

    Pages 33-42

    Cohen, Samuel N. (et al.)

  • On a Forward-backward Stochastic System Associated to the Burgers Equation

    Pages 43-59

    Cruzeiro, Ana Bela (et al.)

  • On the Estimate for Commutators in DiPerna–Lions Theory

    Pages 61-71

    Fang, Shizan (et al.)

Buy this book

eBook 106,99 €
price for Spain (gross)
  • ISBN 978-3-0348-0097-6
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 135,19 €
price for Spain (gross)
  • ISBN 978-3-0348-0096-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Softcover 135,19 €
price for Spain (gross)
  • ISBN 978-3-0348-0337-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Rent the eBook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Analysis with Financial Applications
Book Subtitle
Hong Kong 2009
Editors
  • Arturo Kohatsu-Higa
  • Nicolas Privault
  • Shuenn-Jyi Sheu
Series Title
Progress in Probability
Series Volume
65
Copyright
2011
Publisher
Birkhäuser Basel
Copyright Holder
Springer Basel AG
eBook ISBN
978-3-0348-0097-6
DOI
10.1007/978-3-0348-0097-6
Hardcover ISBN
978-3-0348-0096-9
Softcover ISBN
978-3-0348-0337-3
Series ISSN
1050-6977
Edition Number
1
Number of Pages
IX, 430
Number of Illustrations
3 b/w illustrations, 14 illustrations in colour
Topics